THE RELAXATION METHOD OF FINDING THE COMMON

POINT OF CONVEX SETS AND ITS APPLICATI~~N TO

THE SOLUTION OF PROBLEMS IN CONVEX
PROGRAMMING*

L.M. BREGMAN
Leningrad
(Received 20 Pay 1966)

IN this pager we consider an iterative method of finding the colon

point of convex sets. This method can be regarded as a generalixat ion
of the methods discussed in [l - 41. Apart from problems which can be
reduced to finding some point of the intersection of convex sets, the
method considered can be applied to the approximate solution of prob-
lems in linear and convex programming.

1. The problem of finding the common point

of convex sets

Suppose we are given in a linear topological space X some family of

closed convex sets A i, i E. 1, where 1 is some set of indices. We shall
assume that!?= n 4; is not empty. It is required to find some point
if3

of the intersection of the sets A i.

Let S c X be some convex set such that .S fl !i # A.

Let us consider the function 11(x, y), defined over 5’ x S, and satis-
fying the following conditions.

I. 0(X, N) 2% &x, N) = 0 if and only if x = y.

* Zh. uyckisl. 8at. nrat. Fiz. 7, 3, 620 - 631, 1967.

200
 Finding the common point of conver sets 201

II. For any ,y E S and i E T a point x = P;y EAin S exists

such that

D(s, Y)= min D(z, 2).

ZE+ 03

This point x ;.ill be called the D-projection of the point y onto the
set Ai.

III. For each i E 1 and y E 3 the function G(z) = :)(z, y) -

D(z, Pi,y) is convex over Ai n 3.

IV. A derivative i),‘(x, y) of the function D(x, y) exists when x =y,

while ;)x:‘(y, y) = 0 (i.e. lim [D(Y + tz, y) / t] 72 0 for all 2 E Y).
t+o

V. For each z E R n 5 and for every real nunber L the set T

= (3 E SID(z, 2) & L} is compact.

VI. If D(Zn,Yn) --+ 0, yn+ y’ E s (S is the closure of the set S)

and the set of elements of the series {xn) is compact, we have xn -+ y*.

Consider the following iterative process:

(1) take an arbitrary point .xO E .S;

(2) if the point zn E 2 is known, we select in some way the index

i,(xn) E 1 and we find the point xntl which is the D-projection of the
point xn onto the set A.
cn(zn)*

The sequence {zn) obtained as a result of this process will be called

the relaxat ion sequence.

The sequence of indices, chosen during each of the iterations

tio(xO), iI( . ..I. will be called, following [51, the control of the
re laxat ion.

Below we shall consider some relaxation controls, under which the

relaxation sequence Ln) converges to some point x* E R.

3’e have the following lemmas.

Lemmaf

Let z E Ain S. Then for any y E S the inequality D(PiY,Y) <

202

G(z, y) - 'J(z, Pa) is valid.

3roof. kcording to condition III, for all A E [O, l! we have

‘r’jhence when A > ft we obtain

.?;i~(+~::hz + (I- h)Piy E Ai JJS, the first term on the right-hand

side of (1.1) is non-negative {in view of condition II}, and the second
tern tends to zero when h --+rl (in view of condition IV). Hence !)(z,,y) -
:)(t, .Pi.y) - n(biy, y) 2 0.

For any relaxation COatr:J1 we have the following:

(11 The set of elements of the relaxation sequence {nn) is compact;

(2) For any 2 E : there e_xists lim D (z, I”) ;

?Z-

.Pr001.. We take 2 ~Rfl 3. According to Le!nma I,

D (:;WP) < D (z, P) - D (z, ~+i). U.2)

Since !i(xn+l, nn)>?J, we have 2(2, nn+l)<lj(z, 9). Consequently,
there exists j!(z, xn), which together with (1.2) gives n(xn+‘, x”) -t 0,

Since the set of elevents of the relaxation sequence &h) is con-

tained in the set T = {x E SlZl(z,x) < D(z,ta)}, which, according to
condition V, is coj:l:Tact, therefore slatement (I) of the Lemma is also
true.

Let us now consider soae relaxation controls for wtlich the limiting
point of the sequence {,~n) belongs to the intersection of the sets ‘1i,
 y indirbq tb camnon point of convex sets 203

Let i = i:, 2, ,.., d and let tbe indices be chosen in cyclic order,
i.e. iO(sO) = 1, ii = 2,. . . , &,+-f(zf+-i) = m, i,(xa) = 1, and so on.
Tnon any limiting ooint Y* oE the relaxational sequence {xn) is a co%v)n
poink of the JB~S Ai,

’ i.301‘. Let n* ‘0” the limiting point of the sequence {xn) and xnk * Y*.
la..
:b sF,patate out from the sequence, (~‘~1 a subsequence which is wholly
c%kzined in one of the sets Ai, Eor exanple in A,. We shall assu!ne that
{ L"'>Ic .I1. We separate out from the sequences {X nkti-l) those w:-lich
are cmveixz:lt. It can be assuned that the sequences {xnkti-‘) thecl-
se~~v~s are c9svzrgen:. 1,et

n’ax min Li(X, 5”).

itsI sEAi

The;i arty liqitir,g point of the relaxat ion seqae:lce

FoilIt (,i: the sets ‘,I;,.

1,-0Cj. kt .Tnk + X*. We denote tile Ll-projection

the set ,4 i by ,~ink. Then
204 L..M. Bregman

D(Y”“,znk)< maxD(yjn k, znk) = D(Znk+i, 5nk)_

jEI

Ilk+1
Since according to Lemma 2 we have :I(x , xnk) 4 0, therefore also

According to Le:mma1, for any z E i we have

D (2, !/ink) < D (2, xnk) < D (z,

ti).

Consequently, according to condition V, the set {yinhI is compact which,

together with (1.3) on the basis of condition VI, gives yin’ 4 x* for
all i E r.

Since yink E .4i, we have X* E (1 Ai.

ifsl
y3te In many cases the relaxation
2. sequence {x,) has a unique
li*niting point x* E ,i. This happens, for example, if one of the follow-
ing conditions is satisfied:

(1) The set .s is closed, and for any ~1, z2 E ri 11 ‘j the function
T{(y) = fi(Zl, y) - D(z*, y) is continuous over S;

(2) the function 11(x, y) is defined #hen x E s, and if yn + y* E s,

then D(y*, ,yn) + 0.

In fact, let condition (1) be satisfied and let

x”k -+I’ER. x”[-+x*‘~R.

According to Lemma2, there exists

limH(xn) = lim(D(x*, 2”)--D(t**, a?)).

For the subsequences xnk

limf/(x”k) = -D(x’*, x’) < 0.

For the subsequences znl

lim IZ(xn[) = D(x* , 21’) 2 0.

Consequently 9(x*, x**) = 1)(X**, x*) = 0 and according to condition (1).

 Fiitding the conmon point of convex sets 205

*= **
x x .

Suppose condition (2) is satisfied and agail vnb -+ x* E :i, xn’ -+

.** E 3. Then

0 = limD(s*, z”k) = limD(s*, z*l) = limD(z*, 5’~).

Hence, according to condition VI, it follows that xc = x**.

Let us now consider some examples of functions satisfying the condi-

tions I - VI.

1. Let Y be a real Hilbert space, .i‘ = .I( and iJ(x, ,y) = (X - ,y, x - y).

The function U(x, Y), obviously satisfies condition I.

Condition II is satisfied, since the ,J-projection onto a convex set

is in this case the same as an ordinary projection.

The function defined in condition III

G(z)=D(z,y)--(z,Piy)=(z-Y,z-Y)-
- (2 - piy, 2 - Piy) = 2(Z,PiY - Y) + (Y, Y) - PiYPPiY)

is linear, and consequently this condition is also satisfied.

Furthermore,

&‘(y, y) = lim (Y+ tz- YqtY + tz- Y) =limt(z, z)=O.

t-+0 t-so
Consequently condition IV is satisfied.

The set T = {y E 31 (x - y, x - y) < L) occurring in condition V is

not compact, but is bounded and it will therefore be compact if we
assume that a weak topology is introduced in .x.

Condition VI is satisfied if by convergence we inean weak convergence.

In fact, let (.P - yn, xn - yn) --L0, yn - - -+ ,y*, and let the set of
elements of the sequence Gn> be weakly compact. Let xnh - --xx*. Then
for every u E Y we have

Consequently, lim(u, xnk ) = lim(u, yn’) = (u, ,y*), and this means that
C(y)=- (Zj - y, 21 -- y) - (22- Y, zz- y) = (Zi, 21) - (zz,z2) + 2(% -- a, Y)

is iirle?r and therefore continuous in the weak topology.

iience it follows that for certain relaxation controls (for e.<aiple

t?13::3 satisfying the tontditions of Theorems 1 or 2) the relaxation
z-qtleme {x~I will be weakly convergent to some element 5. E fl&
ifSI

Tiris has been proved earlier in [al,

2. Let j(r) h.3 a strictly convex difforenti.able function given ever

the convex set 5 c fir, and let .4(x) be its gradient at the point :.

Let us cons;der the function

D(~,~)=f(~)-.f(Y)-(g(~),~---_). (1.4)

‘Ne shall show that !.‘(n, y) satisfies conditions I - IV.

19detc1, condition I represents one of the properties of convex func-

;;ion:;, v.hich is tha( the graph of a convex function lies only on one
side of a tange3tinl plane (500 [S3).

Condition YI is saXsfied, since for each ,y E s, min c)(x, y) = I)

%EGS
?XiSfyS and cN;set~ueur, lg zin 6(x, y) exists for every closed convex
xfS~A1
set A.

The function :G(z) occurring in couditidn III is convex, since

G(z) = --f(Y)+ftPid)-(g(y),y)+(g(Pirl).PiEI)-
---(R(~)--gg~iY),z)-
PurtherrnorP-I :;,y ’ c v , y ) = ,5 (Y) - 6 (Y) = 0, so condition IV is satis-
fied.

Condition.; VI ad (1) are satisfied if some auxiliary assumptions are

made with respect to ti!e fuuction f(z). For example, they are satisfied
if the set S is c‘(t~ed. and the function f(x) is continously differnenti-
able.
 Firtdi:~g the ccm~on point of convex sets 2K

Condition V is not a consequence of the convexity of f(l), and for

this reaso& we shall only consider functions for which condition V is
satisfied.

An example of a function P(X). for which the function C(X, ,y), con-
structed according to formula (1.4). satisfies conditions I - VI and
(l), is given by a positive definite quadratic form given over the
whole space SP. Tine corresponding function !)(n, +y) = (X - y, Ll(x, y)),
as is easy to see, satisfies conditions I - VI end (1).

Another example of such a function will be

f(x)= 5 xjhlsj,
j=f
given over the set 5’ = (x E Ep Ix > O}. Its corresponding function
i)fx, y) has the form

D(5,Y) =i (yj-sj+rcj(lnsj-1Inyj)). (1.5)

According to the previous considerat ions, function (1.5) saiisf ies

conditions I - VI. It is easy to see that !.!(n, y) also satisfies con-
dition V.

Let us verify that function (1.5) satisfies condition VI. Let i,(xn,
yn) + 0 and yn -+ y* = (yl*, .y2*, . . . , ,yp*). If yj* = 0, then also
XI.n -+ 0, since otherwise 3(xn, yn) -+ a. If :fj* > 0, then “in + ,JJ~*in
view of the continuous nature of the function 1(x, y) when yi > 0.

As can be seen from (1.5), the function D(x, y) satisfies condition

(2).

Consequently a relaxation sequt!:lce {Xn) constructed by means of the

function (1.5) will for any system of closed convex sets 4, converge
to the point x* ~fl Ai with an appropriate selection of the relaxation
%I
control.

In concluding this section we remark that for the functions Jl(x)

and f2(x), the difference between which is a linear function, the
functions
203

and

are ident ical.

2. Solving some problems of convex programming

If R = nAi does not consist of a single point, the limit of the

if3
relaxation sequence will depend on the choice of the initial approxirna-
tion and of the relaxation control. Therefore by a suitable choice of
the initial approximation and of the relaxation control it can be en-
sured that the limiting point x* will have certain specified properties,
for example, that it will minimize a certain function over $:. We shall
make use of these considerations to solve certain problems in convex
programming.

Let f’(x) be a strictly convex function which is continuously differ-

entiable over the convex set .s c 6P, and let it be continuous over ,T.
Consider the following problem:

to minimize
f(x) (2.1)
subject to the conditions

Ax=b, (2.2)
x E s. (2.3)
iiere A = 11 aij 11 is a matrix with IR rows and p columns, x E ,!?p, b E Em.

Let us denote the i-th row of the matrix A by Ai. We assume that all
Ai # 0.

Let ” be the set of permissible vectors of problem (2.1) - (2.3),

i.e. R= {xEEPIAx= b,xES}. We shall assume that ‘I is not
empty.

We assume that the function I?(x, y) constructed according to formula

(1.4) satisfies conditions I - VI and condition (2).

We note that in this case condition (2) is a consequence of

 Finding the common point of convex sets 209

condition (1). Indeed, if f(x) is continuously differentiable over the

closed set S, D(n, y) is continuous, and condition (2) is satisfied.

Let us denote by Z the set of those x E S for which there exists

such u E Em, that g(x) = UA ((g(x)‘ is the gradient of the function
f(x) ) . Let 2 be the closure of the set z.
Lemma 3

If y’ E R n Z, y* is a solution of the problem (2.1) (2.3).

Proof. Since y* E 3, therefore

Therefore there exists x* E 8 such that

fly*) - f(z’) = a > 0. (2.4)

In order to prove this lemma it is sufficient to show that a = 0.

Since y* E 2, we can find a sequence {yn) such that yn GE Z and yn + y*.

For every n we can find un E Em such that g(yn> = unA. Hence it

follows that (a(yn), V) = 0 for all V, for which Au = 0. We put v =
y* - x*. Then for all n we have

@(Y”) I Y’ - 2*) = 0. (2.5)

Taking into account (2.5) and (1.4) we have

(2.6)
- @?(Y”W - y”) - II (x8, y”) = D (y’, y”) - D p*, Y”) .

From (2.6) it follows that a<D(y*, yh).

Hence, using condition (2) and (2.4), we obtain a = 0.

Theorem .jr

Let the D-projection of any point x belonging to the interior of the

set S onto the set
210 L.M. Bregnan

also belong to the interior of ?.?. Suppose we select such a relaxation

control for which xn -+ x* E :? (for example. of the kind as in Theorems
1 - 3). Then if the initial approximation is x0 EEZfl int 5 (int S
denotes the interior of the set S), x* is a solution of the problem
(2.1) - (2.3).

Proof. Let xn+l be a D-projection of the point xn onto the set idi.
Then

g WY = g(z”) + tii., (2.7)

(A{., P+‘) * bi. (2.8)

Hence it can be seen that if x* E Z, we have xn+I E Z also. Con-

sequently, x* E Z and, according to Lemma3, x* is a solution of the
problem (2.1) - (2.3).

Note 2. Both xn+I and A are uniquely determined from the conditions
(2.7) and (2.8).

Indeed, let there be y, z G EP and numbers h and w such that

gbf = g(s”) + hAi+, g(z) = &“) + &4i.. *

(‘b, !4v)= b, (At., 2) = btsndy#z.

Then

f(Y) -f(z) > (L!(Z)?Y - 4 = k(z”), Y - 2) + (2.9)

+ CL(4.I Y-Z) = (te”), Y---z),
f(z) --f(Y) > b?(Y)1z - Y) = @(Z”)t 2 - Y) + (2.iO)
+ VAi., 2 - Y) = (&?(S”)l2 - Y).

Adding equations (2.9) and (2.10) we obtain ‘3 > 0. Consequently y = z.

This means that h = u also.

!vote 3. If J(z) has a global minimuminside s’, then as an initial

approximation x0 we can take a point at which this minimumis achieved,
since I = 0, UO= 0 and consequently x0 E Z.

Let us now consider a problem in which the restrictions are given in

the form of inequalities:

Minimize
f(x) (2.11)

under the conditions

 Finding the common point of convex sets 211

Ax > 3, (2.12)

x E 6.9. (2.13)

Let the function f(n) have the same properties as earlier, and let
R= {xt:E~(Ax>b,x~S} #A.

Let ,z, = {x E SI, there exists u = (uI, u2, . . ., urn) such that u>O.

To solve the problem (2.11) - (2.13) the relaxational method requires

some modifications.

We shall assume that the conditions of Theorem 3 are satisfied.

Let us consider the following method of solving the problem (2.11) -

(2.13).

1. We shall assume that a cyclic relaxation control is adopted. We

shall denote by in the index selected on the n-th iteration.

2. For the init ial approximation we choose the point ~0 E 20 n

int S. The vector ug = (~~0, u20, . . . . 11,O) is such that g (x0) = uOA.

3. (a) If (A+, xn) <b%, then for x ntI we take the D-projection

of the point nn on the set Ai, = {ZE .&‘*I(At,., x) = b,,,}, i.e. nntl is

determined from the conditions

g (x*+Y = g (~‘9 + %A,., (2.14)

(At,,., xn+1) = bill . (2.15)

(According to Note 2, xntl and A, are uniquely determined from condi-

tions (2.14) - (2.15). ) Furthermore

nti n-H = utn when i # i,.

Ui
n = U<:+ An2 Ui

(b) If (A,., xn) = bh or (Ai,, x*)>&,,, but ui, = 0, we have

.n+l = xn and uintl = uin.

(c) If (A,,, P) > bi, and ui,,> 0, we determine xntl from the

relationship
2 12 L.M. Bregman

g (Pl) = g (5”) - p&ii*., (2.16)

n+i = n+i
:and un+l is determined from the formula u.
In
Uin
n pm ui = ui when
i f in.

Here

PTZ= min (pn’, Pa”), (2.17)

where p,,’ is determined from the conditions

g (Y) = g (r? - Pn’A i,. 9 (2.18)

(Ain-, Y) = bin) (2.19)

and n,,’ = ui n.
n

Theorem 4

The sequence {xn) obtained as a result of the process just described

converges to the point x*, which is a solution of the problem (2.11) -
(2.13).

Proof. 1. We shall show that xn E zo for all n. According to (2), we

have x0 E 2,. Let xn E 20, when n< k. If for the index ik or (3~) is
satisfied then, as can be seen from formula (2.16). zktl f~ zo (since
.k+la.O, in view of the fact that pk<uikk).

Let us take the case (3a). Vrom (2.14) we obtain

(g(tk+i)-g(zk), zk+i--&)= hk (.‘& . J.gk+* - sk). (2.20.)

7c
It is easy to obtain from formula (1.4) that the left-hand side of (2.20)
is equal to D (zkti, sk) + D (zk, z~+~). Hence, taking into account (2.15),
we obtain

D (zk+i zk) + D (izk,, zk+i) > o

kk = (2.21)
bik - (Aik, zk>

Consequently, ~k+i>O and xktl E 20.

2. Let us consider the function 9(x, U) = fCx> - (u, Ax - b). We

show that
.(P(zn+i, zJn+i) > (P(P, u”); (2.22)
 Finding the common point of convex sets 213

If for the index i, condition (3a) is valid

cp(r nfi, ZP+*) - (p(5n, 2~) = D(P+*, 2%) (2.23)

and consequently (2.22) is satisfied.

If for the index in condition (3~) is valid we have

v (tn+i, ZP+~) - up(P, ZP) = D (x%+1, znj + pn ( (Ai. ).x”) - bin),

n
In the same way as formula (2.21), we can obtain

D ( Zn+l, xnj + D (xn, xn+*j

pm= -
bi ',-(At., x”)
n
>”
Since from (2.17) - (2.19) (Ai. , xn+l) - bin > 0, therefore
71

cp(Xn+i, r&n+*)- cp(P, U”) > D (P@17 ZP) ) (2.24)

and consequently, (2.22) is satisfied.

3. Let z CF R. Then

zl(z,5~j=f(Z)-j+~)-(g(~~),Z-X~)= (2.25)
= f(2) - f(~nj - (u+,z -P) <‘f(s) - f(~j -
- (ZP, b - AZ?) = f(z) - cp (xn, un) < f(a) - q (x0, u”).

Hence, in view of condition V, it follows that the set of elements of

the sequence Ln) is compact. In addition, from (2.25) it follows that

(2.261
q WY @j Q f(z),
This together with (2.22) shows that there exists

(2.27)

4. From (2.231, (2.24) and (2.27) it follows that D(xn+l, x”) -+ 0.

Therefore, repeating the reasoning of Theorem 1 it can be shown that
214 L.M. Bregman

any limiting point x* of the sequence {xn) belongs to the set X. Apart
from this, since condition (2) is satisfied, we have xn -. x* E R.

5. Let

11= {i E {1,2,. . . , m} 1(Ai., q > bi},

12= {i E {1,2,. . . , m} 1(A$.,z’) = bi}.

We choose N so that when Q > IVfor i E 11, we have (Ai., xn) > Oi.
Then when n > N + m for i E lr, we obtain ui” = 0. Therefore when
n>N+m

(ZP, ALP - b) = 2 Up(A$., m- 3’) = 5 up (A<.2

5n - z’) =
iEI2 i=i

=(g(zn),z~-z*)=D(2*,zy--f(5*)+f(Z~).

Since condition (2) is satisfied and the function f(x) is continuous

over 5, (nn, Axn - 6) + O. Hence limcp(zn, ZP) = Iimf(xn) -
(u”, AP - b) ) = f(x*). Comparing this with (2.27)) we obtain that n*
is a solution of the problem (2.11) - (2.13). The theorem is proved.

/vote4. Let us consider a problem which is the dual of (2.11) -

(2.13) (see [VI):

to maximize

cp(z, 1~)= f(x) - (u, Ax - b) (2.28)

subject to the conditions

0) = u-4 (2.29)
a >o, x ES. ww
From Theorem 4 we have min f(x) = sup q~(n, y), where the minimumis
taken over the set of vectors n, satisfying conditions (2.12) and (2.13).
while the upper bound is taken over the whole set of pairs (x, u),
satisfying conditions (2.29) and (2.30).

5. If the sequence {an) has the limiting point IL*, the pair (x*,u*)
is a solution of the problem (2.28) - (2.30).

We shall give an example. Suppose we are given the problem:

to minimize
 Finding the common point of convex sets 215

i Xj III Xj (2.31)
j=i

subject to the conditions

P

C&j~j=b$ (t=1,2 ,..., m), (2.32)

j=i
SE& (2.33)

where S 5 {x: E EPlx> 01.

P
We shall assume that 2 o”ij > 0 for all i. As has been shown in
j=i

Section 1, the function 2(x, y) in this case satisfies conditions I -

VI and (2). Apart from this, the function (2.31) is continuously differ-
entiable over S and is continuous over 5. Let y EE s, and x be the LL
projection of the point y onto the set

Then it follows from formulae (2.17) and (2.8) that

“j = Yj exp(hj) , (2.34)
where h is the unique root of the equation
P

2 aijyj exp (nut,) = b<. (2.35)

j=i

As can be seen from (2.34). if y E s, then also x E S. Consequently,

with a suitable relaxation control the conditions of Theorem 3 are
satisfied. Therefore the relaxation sequence will converge to the point
&*I, that is, to the solution of the problem (2.31) - (2.33), if the
point of absolute minimumof the function (2.31), i.e. x,i” = e-l, is
chosen as the initial approximation.

We remark that equation (2.35) is converted into a linear relation-

ship in terms of eh if all the coefficients aij are equal to 0 or 1.
This happens in particular for problems with transport restrictions,
i.e. restrictions of the kind
216 L.M. Bregman

$ =
Xij Ui, $ Xij = bj.
j=i i=i

The relaxation method for problems with this kind of restriction is

identical with the method of Sheleikhovskii [81.

Finally we remark that the relaxation method can be used for the
approximate solution of problems in linear progremning.

Suppose we are given the linear programmingproblem:

to minimize

i CjXj (2.36)
j-i

subject to the conditions

5 GtPj = bi (i = 1,2*..., m), (2.37)

j=i
Xj 2 0. (2.38)

Instead of this problem we shall solve the problem of minimizing the

function

cflj + sf(x) (2.39)

j=i

subject to the conditions (2.37) and (2.38). Here E > 0, and f(x) is.
the same as earlier.

If the set of vectors x, satisfying conditions (2.37) and (2.38) is

finite and E is sufficiently small, the solution of the problem (2.39),
(2.37) - (2.38) will be an approximate solution of the problem (2.36) -
(2.38).

If for f(n) we take the function 2 xjh% we can solve the prob-
j-1

lem of minimizing the function (2.39) aith only the restriction (2.37),
since the restrictionsnj > 0 will be automatically satisfied.

Translated by G. Kiss
 Finding the common point of convex sets 2 17

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